// (c) 2023-2025 Fair Isaac Corporation
using System;
using System.Linq;
using ColumnType = Optimizer.ColumnType;
using Optimizer;
using Optimizer.Objects;
using static Optimizer.Objects.Utils;
using static Optimizer.Objects.ConstantExpression;
namespace XpressExamples
{
/// <summary>Recursion solving a non-linear financial planning problem</summary>
/// <remarks>
/// The problem is to solve
/// <code>
/// net(t) = Payments(t) - interest(t)
/// balance(t) = balance(t-1) - net(t)
/// interest(t) = (92/365) * balance(t) * interest_rate
/// where
/// balance(0) = 0
/// balance[T] = 0
/// for interest_rate
/// </code>
/// </remarks>
internal class RecursiveFinancialPlanning
{
private static readonly int T = 6;
/* Data */
/* An INITIAL GUESS as to interest rate x */
private static double X = 0.00;
/* An INITIAL GUESS as to balances b(t) */
private static readonly double[] B = { 1, 1, 1, 1, 1, 1 };
private static readonly double[] P = { -1000, 0, 0, 0, 0, 0 }; /* Payments */
private static readonly double[] R = { 206.6, 206.6, 206.6, 206.6, 206.6, 0 }; /* " */
private static readonly double[] V = { -2.95, 0, 0, 0, 0, 0 }; /* " */
/* Variables and constraints */
static Variable[] b; /* Balance */
static Variable x; /* Interest rate */
static Variable dx; /* Change to x */
static Inequality[] interest;
static Inequality ctrd;
private static void PrintIteration(XpressProblem prob, int it, double variation)
{
double[] sol = prob.GetSolution();
Console.WriteLine("---------------- Iteration {0:d} ----------------", it);
Console.WriteLine("Objective: {0:f2}", prob.ObjVal);
Console.WriteLine("Variation: {0:f2}", variation);
Console.WriteLine("x: {0:f2}", x.GetValue(sol));
Console.WriteLine("----------------------------------------------");
}
private static void PrintProblemSolution(XpressProblem prob)
{
double[] sol = prob.GetSolution();
Console.WriteLine("Objective: {0:f2}", prob.ObjVal);
Console.WriteLine("Interest rate: {0:f2 percent}", x.GetValue(sol) * 100);
Console.WriteLine("Variables:");
Console.Write("\t");
foreach (Variable v in prob.GetVariables())
{
Console.Write("[{0}: {1:f2}] ", v.GetName(), v.GetValue(sol));
}
Console.WriteLine();
}
/***********************************************************************/
private static void ModFinNLP(XpressProblem p)
{
interest = new Inequality[T];
interest = new Inequality[T];
// Balance
b = p.AddVariables(T)
.WithType(ColumnType.Continuous)
.WithName(t => $"b_{t}")
.WithLB(Double.NegativeInfinity)
.ToArray();
// Interest rate
x = p.AddVariable(
0.0,
Double.PositiveInfinity,
ColumnType.Continuous,
"x"
);
// Interest rate change
dx = p.AddVariable(
Double.NegativeInfinity,
Double.PositiveInfinity,
ColumnType.Continuous,
"dx"
);
Variable[] i = p.AddVariables(T)
.WithType(ColumnType.Continuous)
.WithName(t => $"i_{t}")
.ToArray();
Variable[] n = p.AddVariables(T)
.WithType(ColumnType.Continuous)
.WithName(t => $"n_{t}")
.WithLB(Double.NegativeInfinity)
.ToArray();
Variable[] epl = p.AddVariables(T)
.WithType(ColumnType.Continuous)
.WithName(t => $"epl_{t}")
.ToArray();
Variable[] emn = p.AddVariables(T)
.WithType(ColumnType.Continuous)
.WithName(t => $"emn_{t}")
.ToArray();
// Fixed variable values
i[0].Fix(0);
b[T - 1].Fix(0);
// Objective
p.SetObjective(
Sum(
Sum(epl),
Sum(emn)
),
Optimizer.ObjSense.Minimize
);
// Constraints
// net = payments - interest
p.AddConstraints(T,
t => n[t].Eq(Sum(Constant(P[t] + R[t] + V[t]), -i[t])).SetName($"net_{t}")
);
// Money balance across periods
p.AddConstraints(T,
t => b[t].Eq(t > 0 ? b[t - 1] : Constant(0.0)).SetName($"bal_{t}")
);
// i(t) = (92/365)*( b(t-1)*X + B(t-1)*dx ) approx.
foreach (int t in Enumerable.Range(1, T - 1))
{
LinExpression iepx = new LinTermMap();
iepx.AddTerm(X * b[t - 1]);
iepx.AddTerm(B[t - 1] * dx);
iepx.AddTerm(epl[t]);
iepx.AddTerm(emn[t]);
interest[t] = p.AddConstraint(i[t] * (365 / 92.0) == iepx).SetName($"int_{t}");
}
// x = dx + X
ctrd = p.AddConstraint(x == Sum(dx, Constant(X))).SetName("def");
p.WriteProb("Recur.lp", "l");
}
/**************************************************************************/
/* Recursion loop (repeat until variation of x converges to 0): */
/* save the current basis and the solutions for variables b[t] and x */
/* set the balance estimates B[t] to the value of b[t] */
/* set the interest rate estimate X to the value of x */
/* reload the problem and the saved basis */
/* solve the LP and calculate the variation of x */
/**************************************************************************/
private static void solveFinNLP(XpressProblem p)
{
double variation = 1.0;
// Switch automatic cut generation off
p.CutStrategy = (int)Optimizer.CutStrategy.None;
// Solve the LP-problem
p.LpOptimize();
if (p.SolStatus != Optimizer.SolStatus.Optimal)
throw new Exception("failed to optimize with status " + p.SolStatus);
for (int it = 1; variation > 1e-6; ++it)
{
// Optimization solution
double[] sol = p.GetSolution();
PrintIteration(p, it, variation);
PrintProblemSolution(p);
// Change coefficients in interest[t]
// Note: when inequalities are added to a problem then all variables are moved to
// the left-hand side and all constants are moved to the right-hand side. Since we
// are changing these extracted inequalities directly, we have to use negative
// coefficients below.
foreach (int t in Enumerable.Range(1, T - 1))
{
p.ChgCoef(interest[t], dx, -b[t - 1].GetValue(sol));
p.ChgCoef(interest[t], b[t - 1], -x.GetValue(sol));
}
// Change constant term of ctrd
ctrd.SetRhs(x.GetValue(sol));
// Solve the LP-problem
p.LpOptimize();
double[] newsol = p.GetSolution();
if (p.SolStatus != Optimizer.SolStatus.Optimal)
throw new Exception("failed to optimize with status " + p.SolStatus);
variation = Math.Abs(x.GetValue(newsol) - x.GetValue(sol));
}
PrintProblemSolution(p);
}
public static void Main(string[] args)
{
using (XpressProblem prob = new XpressProblem())
{
// Output all messages.
prob.callbacks.AddMessageCallback(DefaultMessageListener.Console);
prob.MIPLog = 0;
ModFinNLP(prob);
solveFinNLP(prob);
}
}
}
}
|
